Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0136 |
| Annualized Std Dev | 0.2448 |
| Annualized Sharpe (Rf=0%) | 0.0557 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4033.0000 |
| NAs | 1.0000 |
| Minimum | -0.1178 |
| Quartile 1 | -0.0059 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0074 |
| Maximum | 0.1419 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0154 |
| Skewness | -0.4059 |
| Kurtosis | 10.2649 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0107 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0158 |
| Downside Deviation (Rf=0%) | 0.0113 |
| Downside Deviation (0%) | 0.0113 |
| Maximum Drawdown | 0.6733 |
| Historical VaR (95%) | -0.0237 |
| Historical ES (95%) | -0.0388 |
| Modified VaR (95%) | -0.0237 |
| Modified ES (95%) | -0.0445 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.6733 | 3369 | 339 | NA |
| 2006-05-11 | 2006-06-13 | 2006-10-04 | -0.1406 | 102 | 23 | 79 |
| 2007-07-13 | 2007-08-16 | 2007-10-11 | -0.1305 | 64 | 25 | 39 |
| 2007-02-27 | 2007-03-05 | 2007-04-02 | -0.0774 | 25 | 5 | 20 |
| 2005-09-12 | 2005-10-20 | 2005-12-09 | -0.0708 | 63 | 28 | 35 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | -0.7 | 1.1 | 0.4 | 0.1 | 1.3 | 1.6 | -0.1 | 0.1 | 1.7 | -0.5 | 5 |
| 2006 | 0 | 0.9 | -0.6 | -0.3 | 1 | 1.4 | -0.5 | 0.5 | -0.1 | -0.2 | -0.4 | -0.4 | 1.4 |
| 2007 | 0.7 | -1.4 | 0.2 | 0 | 0.5 | 0.7 | 0.7 | 2.1 | 1 | -2.4 | 0.5 | -1 | 1.5 |
| 2008 | 1.4 | -2.4 | 2.7 | 0.9 | 0.1 | -1.4 | -1.3 | -0.4 | -0.6 | 1.5 | -8.9 | 0.7 | -8 |
| 2009 | -0.5 | -0.4 | 2.6 | 1.7 | 2.4 | 2 | 1.8 | -3.3 | -3.2 | -4.1 | 2.7 | -1 | 0.4 |
| 2010 | 2.5 | 0.3 | 1.8 | -1.7 | -0.8 | 2 | -0.1 | 4 | 1.3 | -0.6 | 3.4 | 1.1 | 13.7 |
| 2011 | 2.2 | -1.9 | 1.3 | 0.3 | -2.6 | 1 | -1.7 | -1.4 | -4 | -4.2 | -1.1 | 0.3 | -11.3 |
| 2012 | 2.1 | 1.3 | 1.1 | 0.9 | -2.3 | 4.6 | 0.2 | 1.2 | 1.1 | 1.1 | 0 | 2 | 14 |
| 2013 | 1 | -0.3 | -0.6 | -0.6 | -1.9 | 1.2 | 1 | -1 | 0.7 | -0.6 | 0.4 | 0.3 | -0.5 |
| 2014 | -1.4 | 0.4 | 0.8 | 0.1 | 0.1 | 0.8 | -0.9 | 0.1 | -1.1 | 1.1 | -0.1 | -0.7 | -0.8 |
| 2015 | -1.7 | 0.1 | 1 | 0.8 | -0.6 | 0.5 | 0.6 | -2.8 | 0 | 0 | 0.8 | -1.4 | -2.8 |
| 2016 | -0.1 | 2.8 | -0.7 | -0.3 | -0.1 | 0.1 | -1.1 | 0.8 | 1.2 | -0.4 | -0.2 | 0.5 | 2.6 |
| 2017 | 0.3 | 1 | 0.3 | 0.4 | 0.7 | 0.1 | 0.6 | 0.2 | 0.8 | -0.1 | -0.4 | 0.1 | 4 |
| 2018 | 0.2 | -1.1 | 0.7 | -0.6 | 0.8 | 1.1 | -0.7 | -1.1 | 0.1 | 1.6 | -0.6 | 0.5 | 0.8 |
| 2019 | 0.1 | 0.7 | 1.3 | -0.8 | -0.9 | 0.4 | -0.4 | 0.5 | -1.1 | 0.8 | -0.6 | 0.7 | 0.6 |
| 2020 | -1.5 | -0.7 | -4.4 | -2.1 | 2.3 | 0.8 | -2.1 | -0.1 | 0.8 | -0.3 | 2.5 | -1.2 | -6.2 |
| 2021 | 1.3 | 1.7 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-03-10 50.9 SPY 121. 0.0022 0.0002 0.0086 0.0206 0.0769 0.0341 -0.141 GLD 44.2 0.0041 0.0286
2 2005-03-11 50.9 SPY 120. -0.007 -0.0191 0.0091 0.0099 0.0834 0.0275 -0.139 GLD 44.4 0.0052 0.0242
3 2005-03-14 50.8 SPY 121. 0.0062 -0.0134 0.0117 0.0152 0.076 0.044 -0.116 GLD 44.0 -0.009 0.0129
4 2005-03-15 50.7 SPY 120. -0.0083 -0.0179 -0.0052 -0.0019 0.0804 0.0368 -0.122 GLD 44.1 0.0007 0.0007
5 2005-03-16 50.5 SPY 119. -0.0085 -0.0153 -0.0129 -0.0138 0.0656 0.0212 -0.154 GLD 44.3 0.0057 0.0066
6 2005-03-17 50.5 SPY 119. 0.002 -0.0155 -0.0146 -0.0126 0.0559 0.0231 -0.149 GLD 43.8 -0.0111 -0.0086
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
